Analytic Solutions for Optimal Statistical Arbitrage Trading

By W. K. Bertram. 2010

85 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/c9b41420bf85b5f371bfd438a3e2981e37309072

Citations in the corpus

• Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit (2014, unknown): “Considering an exponential OU asset price with zero mean, Bertram (2010) numerically computes the optimal enter and exit levels that maximize the expected return per unit time.”
• Statistical arbitrage pairs trading strategies: Review and outlook (2017, unknown): “Bertram (2010) presents an optimal statistical arbitrage trading rule for meanreverting portfolios.”